Conditional Choice Probabilities and the Estimation of Dynamic Models

V. Joseph Hotz and Robert A. Miller

The Review of Economic Studies, 1993, vol. 60, issue 3, 497-529

Abstract: This paper develops a new method for estimating the structural parameters of (discrete choice) dynamic programming problems. The method reduces the computational burden of estimating such models. We show the valuation functions characterizing the expected future utility associated with the choices often can be represented as an easily computed function of the state variables, structural parameters, and the probabilities of choosing alternative actions for states which are feasible in the future. Under certain conditions, nonparametric estimators of these probabilities can be formed from sample information on the relative frequencies of observed choices using observations with the same (or similar) state variables. Substituting the estimators for the true conditional choice probabilities in formulating optimal decision rules, we establish the consistency and asymptotic normality of the resulting structural parameter estimators. To illustrate our new method, we estimate a dynamic model of parental contraceptive choice and fertility using data from the National Fertility Survey.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (520)

Downloads: (external link)
http://hdl.handle.net/10.2307/2298122 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Conditional Choice Probabilities and the Estimation of Dynamic Models (1992)
Working Paper: Conditional Choice Probabilities and the Estimation of Dynamic Models (1991)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:60:y:1993:i:3:p:497-529.

Access Statistics for this article

The Review of Economic Studies is currently edited by Thomas Chaney, Xavier d’Haultfoeuille, Andrea Galeotti, Bård Harstad, Nir Jaimovich, Katrine Loken, Elias Papaioannou, Vincent Sterk and Noam Yuchtman

More articles in The Review of Economic Studies from Review of Economic Studies Ltd
Bibliographic data for series maintained by Oxford University Press ().